I watched a video recently, which I can't find, where an architect set up a beautiful wooden baseboard around the entirety of their property, and that baseboard held all mechanicals and was perfectly clean and easy to get into as needed.
Drywall is manageable and cheap, I agree. But it's more painful than it should be for something that _will_ require maintenance.
This sounds great but violates all the building codes for a variety of reasons: eddy currents, risk of electrocution if there’s a short somewhere, noise in telecom cables, etc.
I've seen videos where people will put in removable drywall panels that can just be lifted out for access.
There are a lot of downsides though. You lose airsealing, if you don't have an airtight building envelope on the outside of the drywall. You lose fire resistance. You often lose aesthetics, although I've seen this done extremely tastefully. You lose childproofing, and run the risk of a kid electrocuting themselves or destroying your plumbing or dropping stuff in the wall. You impose constraints on what can go on the walls and where your furniture can go.
Given that drywall is pretty easy to cut and replace, most people figure it's just not worth the costs for something you do infrequently.